The Federal Reserve released its latest quarterly "Z.1 Financial Accounts of the United States" statistical survey (formerly the "Flow of Funds"). Among the 4 tables it includes on money market mutual funds, the Second Quarter, 2016 edition shows that the Household Sector remains the largest investor segment, though assets here declined again and fell back below the $1.0 trillion level. Funding Corporations, Nonfinancial Corporate Businesses and Private Pension Funds showed gains in the latest quarter, while Funding Corporations, Nonfinancial Corporate Businesses, State & Local Governments, and Private Pension Funds showed increases over the past 12 months. We review the latest Fed Z.1 numbers below, and we also review the ICI's latest "Money Market Fund Holdings" summary below.
The Fed's "Table L.206," "Money Market Mutual Fund Shares," shows total assets declining by $56 billion, or 2.0%, in the second quarter to $2.703 trillion. Over the year through June 30, 2016, assets are up $87 billion, or 3.3%. The largest segment, the Household sector, totals $989 billion -- or 36.6% of assets. The Household Sector decreased by $47 billion, or -4.5%, in the quarter, after decreasing $30 billion in the 1st quarter, and increasing $60 billion in Q4'15. Over the past 12 months through June 30, 2016, Household assets are down $10.0 billion, or 1.0%. Household assets remain well below their record level of $1.581 trillion (from year-end 2008).
Nonfinancial Corporate Businesses were the second largest investor segment, according to the Fed's data series, with $577 billion, or 21.4% of the total. Business assets in money funds increased $4.0 billion in the quarter, or 0.6%, and have risen by $31 billion over the past year, or 5.6%. Funding Corporations, which includes Securities Lending cash, remained the third largest investor segment with $470 billion, or 17.4% of money fund shares. They increased by $6 billion in the latest quarter and by $42 billion over the previous 12 months. Funding Corporations held over $906 billion in money funds at the end of 2008.
The fourth largest segment, State and Local Governments held 6.7% of money fund assets ($180 billion) -- down $9 billion, or 4.7%, for the quarter, and up $7 billion, or 4.1%, for the year. Private Pension Funds, which held $155 billion (5.7%), remained in 5th place. The Rest of the World category was the sixth largest segment in market share among investor segments with 4.2%, or $112 billion, while Nonfinancial Non-Corporate Businesses held $95 billion (3.5%), State and Local Government Retirement Funds held $49 billion (1.8%), Life Insurance Companies held $55 billion (2.0%), and Property-Casualty Insurance held $21 billion (0.8%), according to the Fed's Z.1 breakout.
The Fed's "Flow of Funds" Table L.121 shows "Money Market Mutual Funds" largely invested in "Debt Securities," or Credit Market Instruments, with $1.595 trillion, or 59.0%. Debt securities includes: Open market paper ($277 billion, or 10.2%; we assume this is CP), Treasury securities ($518 billion, or 19.2%), Agency and GSE backed securities ($566 billion, or 20.9%), Municipal securities ($216 billion, or 8.0%), and Corporate and foreign bonds ($18 billion, or 0.7%).
Other large holdings positions in the Fed's series include Security repurchase agreements ($643 billion, or 23.8%) and Time and savings deposits ($430 billion, or 15.9%). Money funds also hold minor positions in Foreign deposits ($13 billion, or 0.5%), Miscellaneous assets ($8 billion, or 0.3%), and Checkable deposits and currency ($13 billion, 0.5%). Note: The Fed also recently added a new breakout line to this table which lists "Variable Annuity Money Funds;" they currently total $36 billion, down $3 billion in the quarter.
During Q2, Agency- and GSE-Backed Securities (up $105 billion), Security Repurchase Agreements (up $46 billion), and Checkable Deposits and Currency (up $6 billion) showed increases. Time and Savings Deposits (down $63 billion), Open Market Paper (down $57 billion), Corporate and foreign bonds (down $34 billion), Treasury Securities (down $28 billion), and Municipal Securities (down $23 billion) all showed declines.
In other news, the Investment Company Institute released its latest "Money Market Fund Holdings" summary (with data as of August 31, 2016), which reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds. (See our Sept. 13 News, "Sept. Portfolio Holdings: CDs, CP Plunge in Aug., Repo, T-Bills Jump.")
The release explains, "The Investment Company Institute (ICI) reports that, as of the final Friday in August, prime money market funds held 37.9 percent of their portfolios in daily liquid assets and 62.1 percent in weekly liquid assets, while government money market funds held 55.4 percent of their portfolios in daily liquid assets and 72.0 percent in weekly liquid assets."
It says, "At the end of August, prime funds had a weighted-average maturity of 21 days and a weighted-average life of 34 days. Average WAMs and WALs are asset-weighted. Government money market funds had a weighted-average maturity of 41 days and a weighted-average life of 99 days."
On Holdings By Region of Issuer, it adds, "Prime money market funds' holdings attributable to the Americas declined from $365.15 billion in July to $318.04 billion in August. Government money market funds' holdings attributable to the Americas rose from $1,267.45 billion in July to $1,476.63 billion in August."
The Prime Money Market Funds by Region of Issuer table shows Americas at $318.0 billion, or 38.7%; Asia and Pacific at $140.1 billion, or 17.0%; Europe at $359.5 billion, or 43.7%; and Other at $4.6 billion, or 0.5%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.477 trillion, or 82.8%; Asia and Pacific at $37.0 billion, or 2.0%; and Europe at $270.0 billion, or 15.1%.
The release explains, "Each month, ICI reports numbers based on the Securities and Exchange Commission's Form N-MFP data. The report includes all money market funds registered under the Securities Act of 1933 and the Investment Company Act of 1940, that are publicly offered. All master funds are excluded, but feeders are apportioned from the corresponding master and included in the report."
